paper - autocorrelation inflatie-energiedragers

*The author of this computation has been verified*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 07 Dec 2008 04:29:09 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/07/t12286494145ott92cp32mfx01.htm/, Retrieved Sun, 07 Dec 2008 11:30:14 +0000

BibTeX entries for LaTeX users:

@Manual{KEY, author = {{YOUR NAME}}, publisher = {Office for Research Development and Education}, title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/07/t12286494145ott92cp32mfx01.htm/}, year = {2008}, } @Manual{R, title = {R: A Language and Environment for Statistical Computing}, author = {{R Development Core Team}}, organization = {R Foundation for Statistical Computing}, address = {Vienna, Austria}, year = {2008}, note = {{ISBN} 3-900051-07-0}, url = {http://www.R-project.org}, }

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc]  [reply]  test Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

19,2 26,6 26,6 31,4 31,2 26,4 20,7 20,7 15 13,3 8,7 10,2 4,3 -0,1 -4,6 -3,9 -3,5 -3,4 -2,5 -1,1 0,3 -0,9 3,6 2,7 -0,2 -1 5,8 6,4 9,6 13,2 10,6 10,9 12,9 15,9 12,2 9,1 9 17,4 14,7 17 13,7 9,5 14,8 13,6 12,6 8,9 10,2 12,7 16 10,4 9,9 9,5 8,6 10 3,5 -4,2 -4,4 -1,5 -0,1 0,8

Output produced by software:

Summary of computational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 2 seconds R Server 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.906444 7.0213 0 2 0.782094 6.0581 0 3 0.651353 5.0454 2e-06 4 0.516806 4.0032 8.7e-05 5 0.36624 2.8369 0.003102 6 0.225587 1.7474 0.042843 7 0.089725 0.695 0.244867 8 -0.027006 -0.2092 0.417506 9 -0.111455 -0.8633 0.195698 10 -0.19082 -1.4781 0.072308 11 -0.271602 -2.1038 0.019797 12 -0.372947 -2.8888 0.002686 13 -0.41499 -3.2145 0.001052 14 -0.426961 -3.3072 0.000798 15 -0.427306 -3.3099 0.000791 16 -0.433375 -3.3569 0.000686 17 -0.428104 -3.3161 0.000777 18 -0.408917 -3.1675 0.001209 19 -0.377356 -2.923 0.002442 20 -0.340839 -2.6401 0.005274 21 -0.309147 -2.3946 0.009888 22 -0.278311 -2.1558 0.01756 23 -0.25036 -1.9393 0.028587 24 -0.199508 -1.5454 0.063756 25 -0.139172 -1.078 0.142669 26 -0.081593 -0.632 0.264889 27 -0.038785 -0.3004 0.382444 28 0.011405 0.0883 0.46495 29 0.046995 0.364 0.35856 30 0.089051 0.6898 0.246493 31 0.130134 1.008 0.158749 32 0.153327 1.1877 0.119823 33 0.170324 1.3193 0.096036 34 0.187494 1.4523 0.075811 35 0.210179 1.628 0.054379 36 0.232492 1.8009 0.038375 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.906444 7.0213 0 2 -0.221725 -1.7175 0.045525 3 -0.081236 -0.6293 0.265786 4 -0.095566 -0.7403 0.231017 5 -0.179732 -1.3922 0.084501 6 -0.025839 -0.2001 0.42102 7 -0.104353 -0.8083 0.211052 8 -0.012045 -0.0933 0.462989 9 0.057158 0.4427 0.329771 10 -0.136727 -1.0591 0.146904 11 -0.120939 -0.9368 0.176311 12 -0.277731 -2.1513 0.017745 13 0.242681 1.8798 0.032497 14 -0.003149 -0.0244 0.490311 15 -0.057426 -0.4448 0.329024 16 -0.113209 -0.8769 0.192016 17 -0.104031 -0.8058 0.211763 18 0.01196 0.0926 0.463249 19 -0.06502 -0.5036 0.308177 20 -0.042288 -0.3276 0.372192 21 -0.002729 -0.0211 0.491604 22 -0.067629 -0.5239 0.301155 23 -0.076496 -0.5925 0.277859 24 -0.061271 -0.4746 0.318396 25 0.088531 0.6858 0.247753 26 0.021539 0.1668 0.434029 27 -0.08211 -0.636 0.26359 28 -0.011352 -0.0879 0.465111 29 -0.175524 -1.3596 0.089522 30 0.121538 0.9414 0.175129 31 0.022881 0.1772 0.429959 32 -0.088925 -0.6888 0.246799 33 0.043685 0.3384 0.368127 34 -0.065756 -0.5093 0.306191 35 0.037053 0.287 0.387545 36 0.031787 0.2462 0.403176

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286494145ott92cp32mfx01/1k3751228649344.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286494145ott92cp32mfx01/1k3751228649344.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286494145ott92cp32mfx01/2glgr1228649344.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286494145ott92cp32mfx01/2glgr1228649344.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

R code (references can be found in the software module):

if (par1 == 'Default') { par1 = 10*log10(length(x)) } else { par1 <- as.numeric(par1) } par2 <- as.numeric(par2) par3 <- as.numeric(par3) par4 <- as.numeric(par4) par5 <- as.numeric(par5) if (par2 == 0) { x <- log(x) } else { x <- (x ^ par2 - 1) / par2 } if (par3 > 0) x <- diff(x,lag=1,difference=par3) if (par4 > 0) x <- diff(x,lag=par5,difference=par4) bitmap(file='pic1.png') racf <- acf(x,par1,main='Autocorrelation',xlab='lags',ylab='ACF') dev.off() bitmap(file='pic2.png') rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF') dev.off() (myacf <- c(racf$acf)) (mypacf <- c(rpacf$acf)) lengthx <- length(x) sqrtn <- sqrt(lengthx) load(file='createtable') a<-table.start() a<-table.row.start(a) a<-table.element(a,'Autocorrelation Function',4,TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Time lag k',header=TRUE) a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE) a<-table.element(a,'T-STAT',header=TRUE) a<-table.element(a,'P-value',header=TRUE) a<-table.row.end(a) for (i in 2:(par1+1)) { a<-table.row.start(a) a<-table.element(a,i-1,header=TRUE) a<-table.element(a,round(myacf[i],6)) mytstat <- myacf[i]*sqrtn a<-table.element(a,round(mytstat,4)) a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable.tab') a<-table.start() a<-table.row.start(a) a<-table.element(a,'Partial Autocorrelation Function',4,TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Time lag k',header=TRUE) a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE) a<-table.element(a,'T-STAT',header=TRUE) a<-table.element(a,'P-value',header=TRUE) a<-table.row.end(a) for (i in 1:par1) { a<-table.row.start(a) a<-table.element(a,i,header=TRUE) a<-table.element(a,round(mypacf[i],6)) mytstat <- mypacf[i]*sqrtn a<-table.element(a,round(mytstat,4)) a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab')

Copyright

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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